Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation
Yongdeng Xu
| Year of publication: |
2024
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|---|---|
| Authors: | Xu, Yongdeng |
| Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 16.2024, 1, p. 1-27
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| Subject: | HEAVY | QML | realized GARCH | spillover effect | vector MEM | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Spillover-Effekt | Spillover effect | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jtse-2022-0018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015052951